Market Efficiency , the Pareto Wealth Distribution , and the Lévy Distribution of Stock Returns

@inproceedings{Levy2001MarketE,
  title={Market Efficiency , the Pareto Wealth Distribution , and the L{\'e}vy Distribution of Stock Returns},
  author={Moshe Levy},
  year={2001}
}
The Pareto (power-law) wealth distribution, which is empirically observed in many countries, implies rather extreme wealth inequality. For instance, in the U.S. the top 1% of the population holds about 40% of the total wealth. What is the source of this inequality? The answer to this question has profound political, social, and philosophical implications. We show that the Pareto wealth distribution is a robust consequence of a fundamental property of the capital investment process: it is a… CONTINUE READING
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